Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 1 | 2 |
| Score | -6.91 | -6.7 | -3.1 |
| Market Cap (Millions USD) | 531.21 | 504.18 | 555.06 |
| Predicted Beta | 0.19 | 0.18 | 0.19 |
| Idiosyncratic Volatility | 1.28 | 1.11 | 1.64 |
Annualized return and volatility
| EWS | |
|---|---|
| Annualized Return | 0.0486 |
| Annualized Std Dev | 0.2563 |
| Annualized Sharpe (Rf=0%) | 0.1898 |
Row
Daily Return Statistics
| EWS | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1119 |
| Quartile 1 | -0.0071 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0078 |
| Maximum | 0.1792 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0161 |
| Skewness | 0.2421 |
| Kurtosis | 8.6448 |
Downside Risk
| EWS | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0121 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0112 |
| Downside Deviation (0%) | 0.0112 |
| Maximum Drawdown | 0.6380 |
| Historical VaR (95%) | -0.0246 |
| Historical ES (95%) | -0.0379 |
| Modified VaR (95%) | -0.0223 |
| Modified ES (95%) | -0.0237 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-15 | 2009-03-09 | 2010-11-03 | -0.6380 | 785 | 361 | 424 |
| 2000-01-10 | 2001-09-21 | 2005-07-21 | -0.5721 | 1414 | 433 | 981 |
| 2014-07-25 | 2016-01-20 | 2017-10-27 | -0.3251 | 837 | 383 | 454 |
| 2011-08-02 | 2011-10-03 | 2012-12-14 | -0.2606 | 352 | 45 | 307 |
| 2018-01-25 | 2018-10-29 | NA | -0.2131 | 492 | 196 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWS | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.8 | 1.7 | 0.0 | 0.8 | 5.7 | 0.0 | 0.0 | -1.6 | 0.0 | 2.7 | 0.0 | 0.0 | 10.4 |
| 2001 | -0.3 | -0.9 | 0.0 | 1.8 | -0.7 | 0.0 | 1.9 | 0.0 | 4.6 | -0.9 | 0.0 | 0.0 | 5.4 |
| 2002 | 0.5 | 2.0 | -0.5 | -0.4 | 0.0 | -1.9 | 1.6 | 0.0 | -2.7 | -0.6 | 0.0 | 0.0 | -2.1 |
| 2003 | 0.0 | 0.0 | 2.7 | -1.0 | 0.0 | 2.1 | -1.9 | 0.0 | 2.1 | 0.0 | 1.8 | 0.0 | 6.0 |
| 2004 | 0.0 | 0.8 | 1.4 | 0.0 | -0.3 | -0.8 | 0.0 | 1.1 | 2.5 | 0.1 | 2.9 | 0.0 | 7.9 |
| 2005 | 0.8 | 0.8 | -1.0 | 0.0 | 0.1 | -0.8 | 1.4 | 1.5 | 0.0 | -0.9 | 1.4 | 0.0 | 3.4 |
| 2006 | 0.6 | 1.8 | 0.0 | 0.2 | 0.1 | 0.0 | -1.7 | 1.0 | 0.0 | 1.3 | -0.9 | 0.0 | 2.3 |
| 2007 | 1.6 | -2.6 | 0.0 | 0.5 | -0.1 | 0.0 | -0.6 | 0.0 | 3.5 | -3.9 | 0.0 | 0.0 | -1.7 |
| 2008 | 1.3 | 0.0 | 4.8 | 1.3 | 0.0 | -1.0 | -1.1 | 0.0 | 0.7 | 0.0 | -9.1 | 0.0 | -3.6 |
| 2009 | 0.0 | 0.0 | 2.1 | 0.5 | 2.5 | 1.7 | 0.0 | -0.9 | -2.4 | 0.0 | 1.9 | 0.0 | 5.4 |
| 2010 | 1.5 | 0.7 | 2.2 | 0.0 | -2.4 | 0.4 | 0.0 | 3.3 | 1.5 | 1.1 | 2.8 | 0.0 | 11.7 |
| 2011 | 0.9 | 0.3 | 0.5 | 0.0 | -2.0 | 1.3 | 0.3 | -1.2 | 0.0 | -3.7 | -0.7 | 0.0 | -4.2 |
| 2012 | 1.1 | 0.9 | 0.0 | -0.1 | -2.7 | 0.0 | 0.2 | 0.0 | 0.4 | 0.1 | 0.0 | 0.0 | -0.2 |
| 2013 | 0.2 | 0.3 | -0.9 | -0.8 | 0.0 | -0.9 | 0.9 | 0.0 | 1.0 | -0.1 | 0.0 | 0.0 | -0.3 |
| 2014 | 0.0 | 0.0 | 0.6 | 0.2 | 0.0 | 0.0 | -0.1 | 0.0 | -0.6 | 0.0 | -1.9 | 0.0 | -1.9 |
| 2015 | 0.0 | 0.0 | 0.7 | 0.1 | -0.5 | 0.2 | 0.0 | -2.2 | -0.6 | 0.0 | 1.3 | 0.0 | -1.1 |
| 2016 | -1.2 | 2.1 | -0.2 | 0.0 | -0.2 | 0.5 | 0.3 | 0.5 | 0.0 | -0.5 | 1.1 | 0.0 | 2.3 |
| 2017 | 0.2 | 0.1 | 0.0 | 0.5 | 0.7 | 0.0 | 0.6 | 0.3 | 0.0 | 0.7 | 0.2 | 0.0 | 3.4 |
| 2018 | 0.3 | -0.4 | 0.0 | -0.3 | 0.3 | 0.0 | -0.4 | 0.0 | -0.1 | 3.0 | 0.0 | 0.0 | 2.4 |
| 2019 | -0.6 | 0.2 | 1.7 | -0.2 | 0.0 | 1.1 | -1.2 | 0.0 | 0.0 | 1.0 | 0.0 | -0.2 | 1.8 |
Row
Rolling Performance Chart
Snail Trail Chart
